Overview

This eCourse consists of two modules. Module 1 describes the key characteristics of bond futures contracts, and explains the valuation and hedging processes for these derivatives.

Module 2 defines bond futures basis and identifies its sources. It also describes how basis evolves over time and analyzes the changes in the cheapest-to-deliver bond.

Objective

On completion of this course, you will be able to:
- Recognize the structures of various bond futures markets and contracts
- Identify how bond futures are priced
- Demonstrate how to hedge a position using a bond futures contract
- Define bond futures basis and identify its sources
- Recognize how basis evolves over time
- Analyze how the cheapest-to-deliver (CTD) bond changes over time

Content

Module 1: Bond Futures
Topic 1: Bond Futures Markets & Contracts
Topic 2: Bond Futures Pricing
Topic 3: Hedging with Bond Futures

Module 2: Bond Futures Basis
Topic 1: Basics of Bond Futures Basics
Topic 2: Evolution of Basis over the Life of a Contract
Topic 3: Cheapest-to-Deliver Bonds